You can and should train your immune system, but not by fighting the enemy. Train it with a sparring partner - a vaccine.
Many people think that viruses are as benign as common flu (influenza), or common cold (rhinoviruses), because that what they experienced themselves and parents and schools don't do a good job of explaining just how bad some diseases are. (To "protect" the children, perhaps?)
But most viruses are not as "polite" as the flu or a cold. All herpesviruses (chickenpox, classic herpesviruses type 1 and 2, papilomavirus, Epstein-Barr, CMV) stay with you forever. So does HIV, hepatitis C (until recently introduced efective treatment), sometimes hepatitis B, some types (the bad types) of papillomaviruses, etc. There are so many of them.
And there are permanet bacterial infections and parasites too: Mycobacterum leprae (rare now), and M. tubeculosis (where I live most people are infected, but don't manifest the disease and are not contagious), Helicobacter pylori (something like 2/3 of all people in the world are infected), malaria (curable, but many people don't know they have it), Toxoplasma (infects all warm blooded animals including birds, and many people have it - in their brain - and it's permanent).
There are some viruses (like HIV) that insert themselves into our cell's DNA, and if they infect our reproductive cells, we pass them on to our children just like any other gene. It happened a lot in our evolution. ~10% of our ordinary human genome is made of viruses. Ancient viruses, no longer functional, but some of their genes we repurposed them and made them work for us instead. If you count transposons (not technically viruses, but they can/could move in and out of DNA, switch places, just like text cut-and-paste, taking with them nearby genes), then it's more like 50% of our DNA.